To answer your question (I hope) to physically leave a city, you either go to the far edges of the city, where the terrain shows up, and choose the cross-terrain option that appears. However, doing this on foot will take days, so it would be much better to use a vehicle or ship. You can also, if in a properly equipped vehicle or a ship, ascend to the atmosphere layer of the planet.

However, for vehicles/ships, you'd either have to buy one (which would be nigh on impossible for a new player) and hope it is where you are (which it undoubtedly wouldn't be), spawn one using CPs at an open facility of the correct type (I would presume you won't have enough right off the bat however). Finally, and the best route, is to join a faction, and they will send someone to pick you up, assign you a ship, and generally show you the ins and outs of the game.